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Assessing Correlation Structures with Subjective Information-An Interactive Approach

Simulation (San Diego, Calif.), 1995-05, Vol.64 (5), p.332-339 [Peer Reviewed Journal]

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Title:
Assessing Correlation Structures with Subjective Information-An Interactive Approach
Author: Kumar, D. ; Heatwole, C.D. ; Bruggeman, A.C. ; Woeste, F.E.
Subjects: Assessments ; Correlation ; Feasibility ; FORTRAN ; Interactive ; Papermaking ; Routines ; Simulation
Is Part Of: Simulation (San Diego, Calif.), 1995-05, Vol.64 (5), p.332-339
Description: The generation of correlated random variates requires a positive definite correlation matrix. This paper presents an interactive approach to generating a positive definite correlation matrix from subjective information. The procedure, implemented in a FORTRAN routine, facilitates assessment of correlation structures determined from subjective considerations by providing feedback on the feasibility of assumed correlation structures. The routine was verified by applying it to a positive definite correlation matrix reported in the literature. An application of the routine to a nonpositive definite correlation matrix used in a capital investiment simulation for a new papermaking technology illustrates how the procedure may be used to assess possible correlation structures with subjective information.
Publisher: Thousand Oaks, CA: Sage Publications
Language: English
Identifier: ISSN: 0037-5497
EISSN: 1741-3133
DOI: 10.1177/003754979506400507
Source: Alma/SFX Local Collection

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